The advantages of our methodology are manifold. Firstly, our approach is a joint modelling framework where both the model parameters and the pair (VaR, ES) of multiple returns are estimated simultaneouslyblack, generalizing the univariate results of [1]} and [2]}. Secondly, our theory captures empirical characteristics of financial data such as peakedness, skewness, and heavy tails (see e.g., [3]}, [4]} and [5]}), without relying on the limitation of blacknormally distributed returns.
